FIND ME ON

GitHub

LinkedIn

Prokhorov's Theorem

🌱

Theorem
Probability

Let XX be a Metric Space and let B\mathcal{B} be the Borel σ-algebra of XX. Let Π\Pi be a family of probability measures on (X,B)(X,\mathcal{B}). Then, 1. If Π\Pi is tight then it is relatively sequentially compact. 2. Suppose that XX is Separable and complete (i.e. Polish). If Π\Pi is relatively sequentially compact, then Π\Pi is tight.

Note that if some family of probability measures is weakly continuous then that implies immediately that it is relatively sequentially compact.

Linked from